Lenders buttress provisions against unpredictable fallout from Russia's invasion of Ukraine
Anticipated slowdown will be first major test for new generation of expected credit loss models
Stressing of migration matrixes for International Financial Reporting Standard 9 and Internal Capital Adequacy Assessment Process calculations
This paper demonstrates that correlation estimates are sensitive to model assumptions and estimation methodology by comparing three methods used to stress rating transition matrixes.
Uncertainty on how governments plan to curb emissions adds political dimension to credit quality assessments
Bank says Dutch government proposal to reduce pollution from livestock farming risks making loans unviable
Faced with geopolitical chaos and signs of recession, expected credit loss models need to adapt fast
Lenders ask standards boards for guidance on how rules should be applied
Bank adds €834 million of provisions and takes €9 billion of new credit RWAs
In this paper a simple approach for including central bank and government intervention in credit models is developed and illustrated using the Fed’s data for the CCAR 2021 stress test.
Modelling approach devised by Commerzbank quant promises to ease computational burden, but may not suit complex portfolios
EBA data shows lenders whose capital benefitted most from transitional loan-loss relief also have skinniest CET1 capital ratios
Senior executive says methods of adjusting IFRS 9 models to “smooth” outputs should be investigated
Commerzbank quant proposes shortcut to calculate lifetime loan loss reserves
This paper introduces a prudent methodology to accurately estimates loss given default for mortgage portfolios and to stress test those portfolios effectively.
Risk Technology Awards 2021
This paper makes an important contribution to the practice of validation by focusing on an under-researched area of the slotting approach to real estate specialized lending under the International Financial Reporting Standard 9 (IFRS 9) framework.
13.4% of ex-moratoria exposures in ‘stage three’ default at 2023 test end-point
Exposures classified as stage two rose 37% in the first three months of 2021
The decrease in set-asides represents a 92% fall quarter on quarter
Unusual economic slumps tripped up models in 2020. Now, they are struggling with fast recoveries
HSBC, Lloyds and NatWest all released surplus credit reserves
‘Stage two’ assets made up 7% of its total at end-March
Models wrong-footed by government support, slumps in whole sectors and differences within industries
UniCredit was the top beneficiary with an 82 basis points CET1 ratio boost